Journal article | Zeitschriftenartikel

Structural estimation of jump-diffusion processes in macroeconomics

This paper shows how to solve and estimate a continuous-time dynamic stochastic general equilibrium (DSGE) model with jumps. It also shows that a continuous-time formulation can make it simpler (relative to its discrete-time version) to compute and estimate the deep parameters using the likelihood function when non-linearities and/or non-normalities are considered. We illustrate our approach by solving and estimating the stochastic AK and the neoclassical growth models. Our Monte Carlo experiments demonstrate that non-normalities can be detected for this class of models. Moreover, we provide strong empirical evidence for jumps in aggregate US data.

Urheber*in: Posch, Olaf

Free access - no reuse

Extent: Seite(n): 196-210

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Journal of Econometrics, 153(2)

Classification: Estimation: General

Subject: Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre

Event: Geistige Schöpfung

(who): Posch, Olaf

Event: Veröffentlichung

(where): Niederlande

(when): 2009

DOI: https://doi.org/10.1016/j.jeconom.2009.06.003

URN: urn:nbn:de:0168-ssoar-255082

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:27 PM CEST

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Zeitschriftenartikel

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Posch, Olaf

Time of origin

2009

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Structural estimation of jump-diffusion processes in macroeconomics

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Other Objects (12)

Structural estimation of jump-diffusion processes in macroeconomics

Ill-posedness of parameter estimation in jump diffusion processes

Which drift/diffusion formulas for velocity-jump processes?

Explicit Solution Processes for Nonlinear Jump-Diffusion Equations

Stochastic Reaction-diffusion Equations Driven by Jump Processes

Estimation of Structural Credit Models under Jump Processes

Maximum likelihood estimation of stock volatility using jump-diffusion models

Discounted optimal stopping for maxima of some jump-diffusion processes

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

On Optimal Sparse-Control Problems Governed by Jump-Diffusion Processes

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Which drift/diffusion formulas for velocity-jump processes?

Explicit Solution Processes for Nonlinear Jump-Diffusion Equations

Stochastic Reaction-diffusion Equations Driven by Jump Processes

Estimation of Structural Credit Models under Jump Processes

Maximum likelihood estimation of stock volatility using jump-diffusion models

Discounted optimal stopping for maxima of some jump-diffusion processes

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On the estimation of jumps of continuous-time stochastic processes

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